Related papers: Dynkin Games and Israeli Options
This work explores dynamics existing in interactions between players. The dynamic system of games is a new attitude to modeling in which an event is modeled using several games. The model allows us to analyze the interplay capabilities and…
We study two player reachability-price games on single-clock timed automata. The problem is as follows: given a state of the automaton, determine whether the first player can guarantee reaching one of the designated goal locations. If a…
Shapley's discounted stochastic games, Everett's recursive games and Gillette's undiscounted stochastic games are classical models of game theory describing two-player zero-sum games of potentially infinite duration. We describe algorithms…
This paper revisits the well-studied \emph{optimal stopping} problem but within the \emph{large-population} framework. In particular, two classes of optimal stopping problems are formulated by taking into account the \emph{relative…
We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…
We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset $d_0<d$ of the $d$ coordinates of a controlled diffusion. Due to the constraint on the control directions these games…
Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts…
Bennett's pebble game was introduced to obtain better time/space tradeoffs in the simulation of standard Turing machines by reversible ones. So far only upper bounds for the tradeoff based on the pebble game have been published. Here we…
We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a…
The policy iteration method is a classical algorithm for solving optimal control problems. In this paper, we introduce a policy iteration method for Mean Field Games systems, and we study the convergence of this procedure to a solution of…
We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and a regulatory entity. The game incorporates penalties for…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
Priced timed games (PTGs) are two-player zero-sum games played on the infinite graph of configurations of priced timed automata where two players take turns to choose transitions in order to optimize cost to reach target states. Bouyer et…
In a reachability-time game, players Min and Max choose moves so that the time to reach a final state in a timed automaton is minimised or maximised, respectively. Asarin and Maler showed decidability of reachability-time games on strongly…